Dynamic complex hedging in additive markets
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DOI: 10.1080/14697680902960234
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- Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
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Cited by:
- Artur Sepp, 2012. "An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1119-1141, May.
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Keywords
Incomplete markets; Mathematics of finance; Derivatives hedging; Insider trading; Exotic options; Levy process; Optimization; Portfolio optimization;All these keywords.
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